I'm applying an adjustment layer with three effects, Simple Choker, Roughen Edges and Turbulent Displace at the top of the stack, above a bunch of shape layers. Only the one at the bottom is being affected, the remaining three, are left untouched. If I sort the layer order, whatever layer ends up in the bottom gets the effects applied, but the others don't.
I think is this a bug, unless anyone can tell me otherwise?
Adjustment layers do not apply their effects to all the layers below them; they apply effects to the composite of all the layers below them. It's similar to precomposing them and applying the effect to the comp.
If you want to apply the same set of effects to a bunch of layers, copy them from the first layer and use Paste with Property Links on the other layers. It will link the pasted effects to the original effect, so changing the values of the first effect will also change them on the others.
Since the first two effects only affect the edges, so they don't do anything here unless you pump up the settings to go beyond the thickness of the bottom layer. Turbulent displace will affect the composite of layers, in the fashion it would if you had a single layer with that image on it.